Abstract

http://ssrn.com/abstract=2266312
 
 

Citations (1)



 


 



Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices


Eran Raviv


APG Asset Management

Kees E. Bouwman


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Dick J. C. Van Dijk


Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute; ERIM

May 6, 2013

Tinbergen Institute Discussion Paper 13-068/III

Abstract:     
The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This paper demonstrates that the disaggregated hourly prices contain useful predictive information for the daily average price. Multivariate models for the full panel of hourly prices significantly outperform univariate models of the daily average price, with reductions in Root Mean Squared Error of up to 16%. Substantial care is required in order to achieve these forecast improvements. Rich multivariate models are needed to exploit the relations between different hourly prices, but the risk of overfitting must be mitigated by using dimension reduction techniques, shrinkage and forecast combinations.

Number of Pages in PDF File: 35

Keywords: Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations

JEL Classification: C53, C32, Q47

working papers series





Download This Paper

Date posted: May 18, 2013  

Suggested Citation

Raviv, Eran and Bouwman, Kees E. and van Dijk, Dick J. C., Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices (May 6, 2013). Tinbergen Institute Discussion Paper 13-068/III. Available at SSRN: http://ssrn.com/abstract=2266312 or http://dx.doi.org/10.2139/ssrn.2266312

Contact Information

Eran Raviv (Contact Author)
APG Asset Management ( email )
Gustav Mahlerplein 3
Amsterdam, 1082 MS
Netherlands
Kees E. Bouwman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
Burg. Oudlaan 50
Rotterdam, NL 3062 PA
Netherlands
Dick J.C. Van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
P.O. Box 1738
3000 DR Rotterdam
Netherlands
ERIM ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1263 (Phone)
+31 10 4089162 (Fax)
HOME PAGE: http://people.few.eur.nl/djvandijk
Feedback to SSRN


Paper statistics
Abstract Views: 328
Downloads: 95
Download Rank: 168,294
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.266 seconds